What's New

 

CISDM releases new Options study:

"Loosening Your Collar: Alternative Implementations of QQQ Collars."
 
We thank the Options Industry Council for Research Support.

 

CISDM releases new study:

 

"VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis"

CISDM thanks the Chicago Board Options Exchange for Research Support.

 

Past Research

 

The Role of Short Sellers in the Marketplace by Raj Gupta (2009)

 

VIX Futures and Options: A Case Study of Portfolio Diversification During the 2008 Financial Crisis by Ed Szado (2009)

 

Who Invested in Madoff? A Flash Analysis of Fund of Funds by George Martin (2009)

 

Collaring the Cube: Protection Options for a QQQ ETF Portfolio by Ed Szado and Hossein Kazemi (2008)

 

Replication and Benchmarking of Hedge Funds by Hossein Kazemi, Feng Tu and Ying Li (2008)

 

Performance Characteristics of Hedge Fund Replication Programs by Raj Gupta, Ed Szado and Will Spurgin (2008)

 

Hedge Fund Legal Structures and its Impact on Performance by Raj Gupta and Edward Szado (2008)

 

Momentum in Asset Returns: Are Commodity Returns a Special Case? by Thomas Schneeweis, Hossein Kazemi and Richard Spurgin (2008)

 

Abnormal Return Patterns and Hedge Fund Failures by Raj Gupta and Hossein Kazemi (2008)

 

CTA/Managed Futures Strategy Benchmarks Performance and Review by Thomas Schneeweis and Jason Remillard (2008)

 

The Benefits of Private Equity by Thomas Schneeweis, Raj Gupta and Edward Szado (2008)

 

The Benefits of Commodity Investments  by Thomas Schneeweis, Raj Gupta and Edward Szado (2008)

 

Factor Exposures and Hedge Fund Operational Risk: The Case of Amaranth by Raj Gupta and Hossein Kazemi (2007)

The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index by Nikunj Kapadia and Ed Szado (2007)

 

Who Invested in Amaranth? A Flash Analysis of Fund of Funds by George Martin (2007)

 

Early Reporting Effects on MSCI Hedge Fund Index Returns by Thomas Schneeweis and Jason Remillard (2007)

 

The Benefits of Managed Futures by Thomas Schneeweis and Raj Gupta (2006)